I am a full-time consultant and provide services related to the design, implementation and deployment of mathematical programming, optimization and data-science applications. I also teach courses and workshops. Usually I cannot blog about projects I am doing, but there are many technical notes I'd like to share. Not in the least so I have an easy way to search and find them again myself. You can reach me at erwin@amsterdamoptimization.com.

The interesting aspect here is that we model here a market with different combinations of players: some are price takers (perfect competition) and some follow a Nash-Cournot oligopolistic behavior. Actually in some energy market models (not discussed in the book) we have coefficient (parameter) δ indicating “Market Power” where δ=0 means perfect competitive behavior and δ=1 means Cournot behavior. The values 0<δ<1 indicate some behavior in between.

Sunday, July 28, 2013

The book “Complementarity Modeling in Energy Markets” has a number of interesting GAMS models in the back. Some of these models are presented in scalar format, i.e. bypassing the indexing facilities. Here my attempt to express these models in a more generic format. Often that means making the models more general, which may require some extra effort and thinking upfront. Besides making the models more extensible I also hope this makes the models more structure-revealing. Besides delivering results a model should also convey the concepts on which is built.

In this model we consider a network of markets with suppliers in each market:

We have two type of producers: exporters and producers that only serve their own market. They optimize their profits and their optimization problem is actually very much alike.

Another player is the TCO: the Transportation System Operator. This agent also maximizes its profit.

Combining these systems of First Order Conditions (KKT conditions) with a Market Clearing condition leads to a small MCP model. Here follows my version: